Suchergebnisse

The paper analyzes the interaction between capital-flow volatility and trade openness in five developed economies and four emerging markets by applying wavelet analysis over the period from 1990Q1 to 2017Q1. The main findings reveal that, in the medium term, capital-flow volatility drives trade openness in emerging markets and developing economies. Special attention should be paid to developed countries during the 2008 economic crisis, when trade exposure is shown to have had significant effects on capital-flow volatility. In the long term, the direction of comovement is rather idiosyncratic in our set of emerging markets and developing countries. Moreover, in both groups of countries, the intensity and persistence of relationships are very sensitive to the volatility of real GDP and secondary to geopolitical risk and oil-price volatility.

The paper proposes a panel model to the determinants of capital flow volatility to a group of 18 emerging market economies (EME) in the period of 2000 to 2011. It studies the robustness of the model regarding different volatility measures; analyses several types of gross capital inflow; focusing the role of government institutional quality and the development of domestic financial system (banks, insurance companies, and capital markets – stocks, bonds and derivatives). The EME analyzed represented roughly 95% of the Emerging Markets Bond Index Global – EMBIG in January 2013, being the biggest destination to international capital flow to EME according to the report of the Bank for International Settlements - BIS (2009). The main conclusion suggests that a reduction of capital flow volatility can be achieved by the adoption of policies that improve government institutional quality and promote development, stability and efficiency of the domestic financial system. ; O artigo propõe um modelo de painel para os determinantes da volatilidade do fluxo de capital para um grupo de 18 economias emergentes no período de 2000-2011. Avaliamos a robustez do modelo em relação a diferentes medidas de volatilidade e a vários tipos de fluxo de entrada de capital; e enfatizamos o papel do desenvolvimento do sistema financeiro doméstico e da qualidade institucional do governo. Os emergentes analisados representavam em Janeiro de 2013 aproximadamente 95% do índice EMBIG, além de constituírem as maiores economias emergente para destino do fluxo de capital internacional segundo relatório do Banco de Compensações Internacionais - BIS (2009). Os principais resultados sugerem uma redução da volatilidade do fluxo de capital mediante adoção de políticas voltadas para melhorias na qualidade institucional do governo e que promovam o desenvolvimento, estabilidade e eficiência do sistema financeiro doméstico.